In this paper we explore the use of Genetic Algorithms (GA) to calibrate seasonal BVAR models. In this way, the mechanistic use of seasonal adjustment procedures is avoided, since seasonality becomes a structural, basic and explicit part of the BVAR model. At the same time, the use of GA allows...

The motivation of this paper is to introduce a short term adaptive model (Partial Swarm Optimizer combined with linear and nonlinear models when applied to the task of forecasting and trading the daily closing returns of the FTSE100 exchange traded funds (ETFs). This is done by benchmarking its...